Bounds for the sum of dependent risks having overlapping marginals
AbstractWe describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 101 (2010)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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